Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0559
Annualized Std Dev 0.1963
Annualized Sharpe (Rf=0%) 0.2849

Row

Daily Return Statistics

Close
Observations 3714.0000
NAs 1.0000
Minimum -0.1175
Quartile 1 -0.0038
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0053
Maximum 0.1003
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0124
Skewness -0.3745
Kurtosis 13.4148

Downside Risk

Close
Semi Deviation 0.0091
Gain Deviation 0.0091
Loss Deviation 0.0105
Downside Deviation (MAR=210%) 0.0136
Downside Deviation (Rf=0%) 0.0089
Downside Deviation (0%) 0.0089
Maximum Drawdown 0.5951
Historical VaR (95%) -0.0183
Historical ES (95%) -0.0311
Modified VaR (95%) -0.0180
Modified ES (95%) -0.0278
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-08-01 -0.5951 1463 355 1108
2020-02-13 2020-03-23 2021-01-07 -0.3600 228 27 201
2018-01-29 2018-12-24 2019-04-30 -0.1806 315 229 86
2015-05-22 2015-08-25 2016-06-23 -0.1392 275 66 209
2007-06-05 2007-08-15 2007-10-05 -0.0888 87 51 36

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 0.2 -0.4 0.5 -0.3 -0.4 0 -0.4 -0.8
2007 0.6 -0.3 0.1 0.1 0.4 -0.2 1.2 0.9 1.5 -2.9 1.3 -0.8 1.8
2008 1.6 -2.7 4.1 2.1 -0.4 0.4 -0.1 -1 1.4 1 -9.7 1.8 -2.3
2009 -2.4 -2.9 2 0.4 2.5 0.4 0.3 -2.4 -2.3 -2.8 1 -0.9 -7
2010 1 0.6 0.5 -1.1 -1.3 -0.2 0 2.7 0.4 0 1.9 0.1 4.7
2011 1.5 -1.3 0.5 0.1 -1.8 1 -0.3 -0.8 -1.5 -2.2 -0.3 -0.5 -5.5
2012 0.8 0.5 0.6 0.6 -2 2.2 -0.2 0.5 0.2 0.9 0.2 1.6 5.9
2013 0.9 0.2 -0.1 -0.8 -1.5 0.5 0.9 -0.1 0.8 0.4 -0.1 0.3 1.2
2014 -0.5 0.4 0.4 -0.1 0.4 0.4 -0.1 0.3 -1.2 1.1 -0.4 -1 -0.3
2015 -1.4 -0.1 -0.4 0.8 0 0.7 -0.3 -2.7 -0.1 -0.3 0.9 -0.9 -3.8
2016 -0.2 2.1 0.5 -0.6 0 0.1 -0.4 -0.1 0.7 -0.8 -0.2 -0.3 0.8
2017 -0.2 1.2 -0.2 0 0.8 0.3 0.1 0.3 0.1 0.2 0 -0.3 2.2
2018 0.1 -1.1 0.8 -0.2 0.8 0.1 -0.3 0 0.5 0.7 0.9 0.9 3.1
2019 0.1 0.4 1.1 -0.7 -1.3 0.6 -0.9 0.2 -1.4 1 -0.3 0.3 -0.9
2020 -1.8 -1.1 -4.3 -2.6 0.2 0 0.3 0.2 0.1 -0.4 0.9 0.9 -7.5
2021 0.8 1.9 -0.2 NA NA NA NA NA NA NA NA NA 2.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-06-16  50.4 SPY    125. -0.0073 -0.00120  -0.013   -0.0415   0.0313    0.232  -0.0071 GLD    57.7  0.0063  -0.0458
2 2006-06-19  50.0 SPY    124. -0.0079 -0.0026   -0.0201  -0.0517   0.019     0.218  -0.0176 GLD    56.4 -0.0229  -0.0611
3 2006-06-20  50.2 SPY    124.  0.0034  0.0126   -0.0237  -0.0424   0.0222    0.241  -0.0057 GLD    57.3  0.0167   0.0247
4 2006-06-21  50.4 SPY    125.  0.0074  0.0122   -0.0089  -0.0412   0.0291    0.257   0.0247 GLD    58.3  0.018    0.0487
5 2006-06-22  50.2 SPY    124. -0.0044 -0.0132   -0.0057  -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103   0.0072
6 2006-06-23  50.1 SPY    124. -0.0002 -0.0017   -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045   0.0054
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart